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Global Financial Markets Intelligence

Global Financial Markets Intelligence

NMD Modelling: Balance Sheet Management Considerations

A structured online course delivered live over 4 half-day modules

18 Feb-11 Mar 2021
Online, United States of America


Why You Should Attend

NMD Modelling: Balance Sheet Management Considerations

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

Depository institutions around the globe have been flooded with an unprecedented amount of liquidity due to central bank actions in the face of the coronavirus.  As a result they are struggling to determine how deposit balances will behave as the economic impact of various shutdown and stimulus strategies unfolds. Interest rates are back near zero and central banks have gone far beyond what they did during the financial crisis more than a decade ago. It is therefore as important as ever to understand the role of deposits in risk and profitability management;

Given the current travel and in-person meeting constraints associated with the coronavirus, we've adapted our live workshops to an online format so that there is still an opportunity to interact with the workshop leader and your peers. In this 4-part online program (3 hours each session), we explore the role behavioral assumptions around non-maturity deposits (NMDs) play in the measurement and management of interest rate risk (IRR), liquidity risk (LR) and product profitability.

Banks and credit unions are prone to be cavalier or aggressive with the assumption setting process for NMDs. Some institutions arbitrarily assign durations and liquidity values that are not robust to any material market stress, while others hand the modeling problem to an internal or external “quant” and then just accept whatever values come out of the model. Neither approach acknowledges the dynamic nature of NMD values or the role the firm itself, i.e. product management, plays in influencing product behaviors.

About your expert trainer:

David Green, PhD, CFA is the founder of david green advisors, a boutique consultancy specializing in risk and profitability management for depository institutions around the globe. Dr. Green draws on lessons learned in a 20+ year career spanning banking, bank regulation, consulting and software development to bear on a broad range of risk and profitability management challenges.  Prior to consulting, he served as the Treasurer at BankUnited, the largest bank headquartered in Florida, where he was responsible for the investment portfolio, funding and derivatives, secondary marketing, FTP and ALM. Prior to BankUnited, he was the A/L Manager at SunTrust Bank where he built and managed all of the static and stochastic interest rate risk models for the bank and worked to align a number of business functions including budgeting/forecasting, funds transfer pricing and strategic balance sheet management, all while market interest rates were increasingly significantly from 2004-6.

Dr. Green is a former Chairman of the Georgia Bankers Association's A/L Management Committee. He also served as a Bank Examiner at the Federal Reserve Bank of Atlanta, where he also spent two years in research while completing his Ph.D.He was also Chairman of SunGard/Bancware's US Client Advisory Council for many years.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

This course is intended to benefit all members of a depository institution’s ALCO committee, ALM managers and their analysts, FTP managers and their analysts, liquidity managers and their analysts, budgeting/forecasting managers, auditors, product managers, product profitability managers, performance management personnel, as well marketing directors. Regulators, central bankers and academics will also benefit from the extensive discussions and applications of theoretical and conceptual modeling frameworks to real-world problems.


Key Topics

  • Appreciate how poor NMD modelling approaches potentially distorts the estimation of IRR, LR and profit allocation calculations leaving banks ill-prepared for changes in market interest rates and the price of liquidity
  • Learn how poorly-constructed FTP rates on NMDs create performance incentives which may be good for the deposit gatherer but harmful to the bank
  • See how poorly constructed FTP methodologies create a discrepancy between perceptions around IRR and LR and product profitability
  • Understand how to address and resolve the challenges of NMD modelling at the analyst, ALM manager and ALCO-member level
  • Review practical examples and experiences which highlight the need for comprehensive and well-considered NMD modelling practices; many of the examples highlight weakness with many current modelling approaches

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







    Voice of Our Customers
    • “It was a solid introduction to the crucial roles FTP should play in business unit, IR and LR immunization, margin attribution and transfer pricing. An interesting walk through of a pragmatic, well thought & tested approach to NMD modeling.” First Rand Bank
    • “Excellent, tackled NMD Modelling via presenting an actual NMD model used in the market” National Bank of Greece
    • “Very informative, very good. I have gained very good insights how to improve NMD Modelling at work” Luminor Bank
    • “It met my expectations. The subject is very challenging but the way it was studied was very good” Op Corporate Bank
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Kamelia S. Simeonova


    101 Finsbury Pavement
    London EC2A 1RS


    Telephone:
    0044 20 3002 3172
    Fax:
    Email: kamelias@marcusevansuk.com